PENGARUH INDEX LQ45 TERHADAP HARGA SAHAM KEPEMILIKAN LO KHENG HONG DENGAN MEDIASI PERUBAHAN DOLLAR (TAHUN 2021-2024)

Femro Arifin; Harman  Malau; Judith Tagal Gallena  Sinaga

doi:10.34127/jrlab.v15i1.2146

Authors

Femro Arifin Universitas Advent Indonesia
Harman Malau Universitas Advent Indonesia
Judith Tagal Gallena Sinaga Universitas Advent Indonesia

DOI:

https://doi.org/10.34127/jrlab.v15i1.2146

Keywords:

LQ45 Index, Exchange Rate, Stock Price, Lo Kheng Hong, Investment

Abstract

This study aims to analyze the effect of the LQ45 Index on the stock prices of companies owned by Lo Kheng Hong, with changes in the USD/IDR exchange rate as a mediating variable. The movement of the Indonesian capital market and the sensitivity of the exchange rate to global dynamics provide an important context for understanding the link between key market indicators and individual stock performance, particularly the portfolio of legendary value investor Lo Kheng Hong. The research adopts a quantitative approach using panel data regression. The sample consists of seven companies consistently included in Lo Kheng Hong’s portfolio during the 2021–2024 period, comprising a total of 336 observations. The results show that the LQ45 Index has a significantly negative effect on the exchange rate, meaning that a stronger stock market is followed by the appreciation of the Rupiah. In addition, the LQ45 Index has a significantly positive effect on the stock prices in Lo Kheng Hong’s portfolio, indicating that an increase in the main market index leads to higher stock prices. The exchange rate variable is found to significantly mediate the effect of the LQ45 Index on stock prices, with a negative relationship direction, implying that Rupiah depreciation weakens the portfolio's stock prices. The regression model explains 26.09% of the variation in stock price movements. These findings imply that the dynamics of the leading stock index and exchange rate fluctuations play an important role in determining value stock investment performance, serving as strategic considerations for investors in making investment decisions in the Indonesian capital market.

References

Aftab, M., Ali, A., & Hegerty, S. W. (2021). Foreign exchange market pressure and stock market dynamics in emerging Asia. International Economics and Economic Policy, 18(4), 699–719.

Akinci, Ö., & Queralto, A. (2024). Exchange rate dynamics and monetary spillovers with imperfect financial markets. The Review of Financial Studies, 37(2), 309–355.

Ali, A., Anjum, R. M. A., & Irfan, M. (2025). Impact of exchange rate regimes on financial stability in developed and developing economies. Advance Journal of Econometrics and Finance, 3(2), 236–246.

Avedish, D., Wibowo, F. T., Azmi, N. U., Nada, Q., & Sarpini, S. (2025). Peran nilai tukar rupiah dan fluktuasi valuta asing terhadap ketahanan ekonomi Indonesia. Jurnal Kajian dan Penalaran Ilmu Manajemen, 3(1), 223–235.

Aydoğmuş, M., Gülay, G., & Ergun, K. (2022). Impact of ESG performance on firm value and profitability. Borsa Istanbul Review, 22, S119–S127.

Bank Indonesia. (2022). Statistik nilai tukar rupiah. https://www.bi.go.id/id/statistik/informasi-kurs/transaksi-bi/default.aspx

Baron, R. M., & Kenny, D. A. (1986). The moderator–mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerations. Journal of Personality and Social Psychology, 51(6), 1173–1182. https://doi.org/10.1037/0022-3514.51.6.1173

BEI. (2025a). Profil Lo Kheng Hong. https://rdis.idx.co.id/id/events/profil-lo-kheng-hong

BEI. (2025b). Ringkasan Saham. https://www.idx.co.id/id/data-pasar/ringkasan-perdagangan/ringkasan-saham/

Bhowmik, R., & Wang, S. (2020). Stock market volatility and return analysis: A systematic literature review. Entropy, 22(5), 522.

Chen, M., Li, N., Zheng, L., Huang, D., & Wu, B. (2022). Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price. Physica A: Statistical Mechanics and Its Applications, 587, 126506.

Efuntade, A. O., & Efuntade, O. O. (2023). Systematic review of nexus between exchange rate fluctuations and stock market price movements: Flow oriented theory, stock oriented theory and portfolio balance theory. International Journal of Social Sciences and Management Research, 8(4), 98–115.

Fang, Y., Fan, Y., Haroon, M., & Dilanchiev, A. (2023). Exploring the relationship between global economic policy and volatility of crude futures: A two-factor GARCH-MIDAS analysis. Resources Policy, 85, 103766.

Fasanya, I. O., Adekoya, O. B., & Adetokunbo, A. M. (2021). On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty. Resources Policy, 72, 102110.

F Hutabarat, Value investing analysis: A look at Anthony Salim portfolio - 8ISC Proceedings: Business, 2021

Ghozali, I. (2020). Aplikasi analisis multivariate dengan program IBM SPSS 26. Badan Penerbit Universitas Diponegoro.

Giri, G. R. P., Artika, I. N., Maisusanto, E., Rahayu, N. M. A., & Desmayani, N. M. M. R. (2025). Perilaku investor ritel dalam pengambilan keputusan investasi di Indonesia: Kajian literatur terstruktur (SLR). Jurnal Inovasi Global, 3(6), 888–897.

Gokmenoglu, K., Eren, B. M., & Hesami, S. (2021). Exchange rates and stock markets in emerging economies: New evidence using the Quantile-on-Quantile approach. Quantitative Finance and Economics, 5(1), 94–110.

Halim, A. R. (2020). Analisa Makroekonomi dan Iklim Investasi terhadap Pasar Modal Syariah di Indonesia (Master’s thesis). Sekolah Pascasarjana UIN Syarif Hidayatullah Jakarta.

Harman Malau, Hedging: Kajian Teori Perlindungan Resiko Bisnis. Jurnal Ekonomis, 2012

IDX. (2023). Fact Sheet Perusahaan LQ45. https://www.idx.co.id/id/data-pasar/laporan-statistik/fact-sheet-perusahaan-lq45

Juhro, S. M., Siregar, R. Y., & Trisnanto, B. (2022). Exchange rate policy and capital flow management. In Central Bank Policy Mix: Issues, Challenges, and Policy Responses (pp. 51–72). Springer Nature Singapore.

Kurniawan, R. (2020). MULTIBAGGER: Cara Meraih Profit> 100% dari pasar saham. Elex Media Komputindo.

Li, X., Li, B., Singh, T., & Shi, K. (2020). Predicting stock market returns in the US: Evidence from an average correlation approach. Accounting Research Journal, 33(2), 411–433.

Lubis, E. R. (2024). Strategi investasi Warren Buffett dan Lo Kheng Hong. Anak Hebat Indonesia.

Lubis, I., Syamruddin, S., & Irwansyah, I. (2020). Mispricing and investor preference with six indicators of blue-chip stocks’ future returns. International Journal of Business, Economics, and Social Development, 1(3), 138–152.

Mapendo, J. J., Senadjki, A., & Choong, Y. O. (2025). Stock market development and foreign direct investment: The moderating role of government effectiveness. International Journal of Emerging Markets.

Mroua, M., & Trabelsi, L. (2020). Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses. Journal of Economics, Finance and Administrative Science, 25(50), 395–412.

Napitupulu, B. E., Rajagukguk, J. S. S., & Siswono, S. (2024). The managerial economics implications of rupiah exchange rate fluctuations on investment and corporate growth. International Journal of Informatics, Economics, Management and Science, 3(2), 174–187.

Ngwakwe, C. C. (2020). Effect of COVID-19 pandemic on global stock market values: A differential analysis. Acta Universitatis Danubius Œconomica, 16(2), 255–269.

Olokoyo, F. O., Ibhagui, O. W., & Babajide, A. (2020). Macroeconomic indicators and capital market performance: Are the links sustainable? Cogent Business & Management, 7(1), 1792258.

Pudiastuti, R. D., & Pratiwi, Y. O. (2021). Cara ampuh investasi ala Warren Buffett dan Lo Kheng Hong. Anak Hebat Indonesia.

Rahardjo, B. (2021). Jeli investasi saham ala Warren Buffet: Strategi meraup untung di masa krisis. Penerbit Andi.

Rahman, R. E. (2021). Understanding Indonesia’s exchange rate behavior. Studies in Economics and Finance, 38(2), 189–206.

Saim, R. M., Senturk, I., & Ali, A. (2025). Macroeconomic predictors and stock market dynamics of the US equity market. Annual Methodological Archive Research Review, 3(7), 91–110.

Sattar, M. A., Toseef, M., & Sattar, M. F. (2020). Behavioral finance biases in investment decision making. International Journal of Accounting, Finance and Risk Management, 5(2), 69.

Selemela, S. M., Ferreira, S., & Mokatsanyane, D. (2021). Analysing volatility during extreme market events using the Mid Cap Share Index. Economica, 17(3), 229–249.

Sugiyono. (2021). Metode penelitian kuantitatif, kualitatif, dan R&D. Alfabeta.

Sumani, S. (2020). Fundamental factor analysis on stock returns based on the panel data of LQ'45 Index. Hasanuddin Economics and Business Review, 3(3), 132–139.

Syukur, A., & Istiawan, D. (2021). Prediction of LQ45 Index in Indonesia Stock Exchange: A comparative study of machine learning techniques. International Journal of Intelligent Engineering & Systems, 14(1).

Tabash, M. I., Asad, M., Khan, A. A., Sheikh, U. A., & Babar, Z. (2022). Role of 2008 financial contagion in effecting the mediating role of stock market indices between the exchange rates and oil prices: Application of the unrestricted VAR. Cogent Economics & Finance, 10(1), 2139884.

Umoru, D., Abu, E. I., Igbinovia, B., Asemota, G., Igbafe, A., & Idogun, H. I. (2025). Stock markets returns and interactive effects of economic policy uncertainty and exchange rate volatility: Evidence from MENA markets. BRICS Journal of Economics, 6(1), 91–117.

Vidiati, C., Al-Ghozali, M. I., Faturrizky, I., Selasi, D., Munajim, A., & Tardjono, T. (2022). Effects of the money market and the need for knowledge of interest rates and the foreign exchange market for benefit: Evidence in Indonesia. IJOBBA: International Journal of Bunga Bangsa Cirebon, 1(1), 37–60.

Wang, L., Zhou, B., Liu, Y., & Chen, Y. (2025). Signal or pressure? Retail investor attention and MD&A quality. Journal of Accounting Literature, 47(5), 388–415.

Wijaya, C. C., & Putri, A. P. (2021). Pengaruh analisis fundamental dan analisis teknikal terhadap harga saham pada perusahaan yang terdaftar di Indeks LQ45. Jurnal Ekonomi Bisnis Manajemen Prima, 2(2), 35–46.

Yousaf, I., Ali, S., & Wong, W. K. (2020). An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets: Implications for portfolio management. Journal of Risk and Financial Management, 13(10), 226.

Yusan, B. O., & Riyadi, S. (2024). Portfolio optimization: Application and comparison of Markowitz model and single index model on LQ45 stocks in Indonesia Stock Exchange. International Journal of Management Science and Application, 3(1), 57–85.

PENGARUH INDEX LQ45 TERHADAP HARGA SAHAM KEPEMILIKAN LO KHENG HONG DENGAN MEDIASI PERUBAHAN DOLLAR (TAHUN 2021-2024)

Authors

DOI:

Keywords:

Abstract

References

Downloads

Published

Issue

Section

License